Designing of Optimal Reinsurance Indemnity

Viktorija Skvarciany () and Indrė Lapinskaitė
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Viktorija Skvarciany: Institute of Dynamic Management, Vilnius Gediminas Technical University, 10223 Vilnius, Lithuania
Indrė Lapinskaitė: Institute of Dynamic Management, Vilnius Gediminas Technical University, 10223 Vilnius, Lithuania

Mathematics, 2022, vol. 10, issue 19, 1-8

Abstract: This paper contributes to relevant research in the area of optimal reinsurance indemnity and deals with the risk measures that are used in reinsurance. The research aims at finding optimal reinsurance contracts under different risk levels. The paper has demonstrated that the method of calculating the indemnity of the reinsurance contract discussed in the aforementioned article—the reduction of the square of excess of loss—can be generalised and is valid in all instances where p ∈ (0; 1) ∪ (1; +∞). The results could be useful for the insurance companies calculating indemnities for different cases, as they could state the degrees that fit their needs most.

Keywords: reinsurance; risk measures; indemnity (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
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